Good-deal bounds for option prices under value-at-risk and expected shortfall constraints
Year of publication: |
2020
|
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Authors: | Desmettre, Sascha ; Laudagé, Christian ; Sass, Jörn |
Subject: | good-deal bounds | riskmeasures | multiple eligible assets | Value-at-Risk | Expected Shortfall | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Derivat | Derivative | Risikomanagement | Risk management |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks8040114 [DOI] hdl:10419/258067 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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